RT Journal Article
SR Electronic
T1 Stock-Market Risk Factors and Manager Performance
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 40
OP 48
DO 10.3905/jpm.2022.1.348
VO 48
IS 5
A1 Peter Mladina
A1 Steven Germani
YR 2022
UL https://pm-research.com/content/48/5/40.abstract
AB There has been a proliferation of stock-market factors that have been mined from historical data, and researchers are now using different methods to address this factor zoo. The authors employ a new method of jointly testing stock-market factor models and manager performance using the attributes of market efficiency as an ideal, or benchmark. They find that a modified three-factor model with an intertemporal risk-free asset is the best factor model overall for traded stock portfolios. Evidence for a simple intertemporal CAPM is also encouraging. Consistent with prior research, they find little evidence of manager skill net of expenses.